backtest.js

const BigNumber = require('bignumber.js')
const colors = require('colors')
const _ = require('lodash')
const moment = require('moment')
const { Client } = require('pg')

//////////////////////////////////////////////////////////////////////////////////

const test_pair = "BTCUSDT"
const pg_connectionString = 'postgres://postgres@127.0.0.1:5432/postgres'
const pg_connectionSSL = false

const stop_loss_pnl = -1.0
const stop_profit_pnl = 7.5

const nbt_prefix = "nbt_"
const max_rows = 600000
const showReport = true
const trading_fees = 0.20

//////////////////////////////////////////////////////////////////////////////////

const pg_client = new Client({
    ssl: pg_connectionSSL,
    connectionString: pg_connectionString,
})
pg_client.connect()

//////////////////////////////////////////////////////////////////////////////////

async function getData(pair) {
    const select_query = 'SELECT * FROM ' + nbt_prefix + pair + ' ORDER BY eventtime DESC LIMIT ' + max_rows
    return pg_client.query(select_query)
    .then(res => {
        return(res.rows.reverse())
    })
    .catch( e => { 
        console.log(e);
        return [] 
    })
}

const arrAvg = arr => arr.reduce((a,b) => a + b, 0) / arr.length

async function backtest(lines) {

    let curr_pnl = new BigNumber(0)
    let first_price = new BigNumber(0)
    let last_price = new BigNumber(0)
    let start_price = new BigNumber(0)
    let max_pnl = new BigNumber(0)
    let min_pnl = new BigNumber(0)

    let trading = false
    let amount_sold = 0
    let trading_report = ""
    let trading_count = 0
    let trading_start = 0
    let trading_win_count = 0
    let trading_loss_count = 0
    let pnl = new BigNumber(0)

    let prices = []
    let volumes = []
    let trades = []
    let sentiments = []
    let srsis = []
    let sum_asks = []
    let sum_bids = []

    let stop_loss = stop_loss_pnl
    let stop_profit = stop_profit_pnl

    for (var i in lines) {

        const time = Number(lines[i].eventtime)
        const price = Number(lines[i].candle_close)
        const trade = Number(lines[i].trades)
        const volume = Number(lines[i].sum_interv_vols)
        const sentiment = Number(lines[i].sentiment_h)
        const srsi = Number(lines[i].srsi)

        const interv_vols_sum = new BigNumber(lines[i].sum_interv_vols)
        const first_ask_price = new BigNumber(lines[i].first_ask_price)
        const first_bid_price = new BigNumber(lines[i].first_bid_price)
        const depth_report = new BigNumber(lines[i].depth_report)
        const makers_count = new BigNumber(lines[i].makers_count)

        if ( i == 0 ) {
            first_price = BigNumber(price)
        }

        if (i == lines.length-1 ) { 
            last_price = BigNumber(price)
            if (trading) {
                const lpnl = last_price.minus(start_price).times(100).dividedBy(start_price)
                trading_report = trading_report + "\n" 
                + trading_count 
                + " " + time 
                + " " + moment(time).format() + " HODL @".magenta + price
                + " MinPNL %" + colors.red(min_pnl.toFormat(2)) 
                + " MaxPNL %" + colors.cyan(max_pnl.toFormat(2)) 
                + " CPNL %" + colors.grey(lpnl.toFormat(2)) 
                + "\n"
            }
        }

        sum_asks.push(Number(lines[i].sum_asks))
        sum_bids.push(Number(lines[i].sum_bids))

        prices.push(price)
        trades.push(trade)
        sentiments.push(sentiment)
        srsis.push(srsi)
        volumes.push(volume)

        if (i % 1000000 === 0) { console.log(i) }

        ////////////////////////////////////////////////////////////////////////////////////////////////////
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        ///////////////////////////////////////////BUYING CONDITIONS////////////////////////////////////////
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        ////////////////////////////////////////////////////////////////////////////////////////////////////
        ////////////////////////////////////////////////////////////////////////////////////////////////////

        if (
            interv_vols_sum.times(first_ask_price).isGreaterThan(1) 
            && prices[prices.length-1] > prices[prices.length-2]
            && volumes[volumes.length-1] > volumes[volumes.length-2] * 1.3
            && volumes[volumes.length-1] > 10
            && trades[trades.length-1] > 150
            && depth_report.isLessThan(-1)
            && makers_count.isLessThan(20)
            && srsi >= 10
        ) {
            if ( !trading ) {
                max_pnl = BigNumber(0)
                min_pnl = BigNumber(0)
                trading_count = trading_count + 1
                trading_report = trading_report + "\n\n" + trading_count 
                    + " " + time
                    + " " + moment(time).format() + " BUY @".blue + price 
                    + " " + colors.red(prices[prices.length-1]) 
                    + " " + colors.blue(parseInt(volumes[volumes.length-1])) 
                    + " dr:".grey + depth_report.decimalPlaces(2).toString().yellow
                    + " mk:".grey + makers_count.decimalPlaces(2).toString().yellow
                    + " si:".grey + colors.blue(srsi)
                    + " trd:".grey + colors.white(trades[trades.length-1])
                trading = true
                trading_start = time

                start_price = BigNumber(price)
            }
            else {
                trading_report = trading_report + "\n" + trading_count 
                    + " " + time
                    + " " + moment(time).format() + " CONF @".cyan  + price
                    + " PNL %" + colors.yellow(pnl.toFormat(2)) 
                    + " " + colors.red(prices[prices.length-1]) 
                    + " " + colors.blue(parseInt(volumes[volumes.length-1])) 
                    + " dr:".grey + depth_report.decimalPlaces(2).toString().yellow
                    + " mk:".grey + makers_count.decimalPlaces(2).toString().yellow
                    + " si:".grey + colors.blue(srsi)
                    + " trd:".grey + colors.white(trades[trades.length-1])
            }
        }
        else if (trading) {
            pnl = first_bid_price.minus(start_price).times(100).dividedBy(start_price)
            if (max_pnl.isLessThan(pnl)) {
                max_pnl = pnl
            }
            if (min_pnl.isGreaterThan(pnl)) {
                min_pnl = pnl
            }
            
            if (pnl.isLessThan(stop_loss)) {
                trading = false
                curr_pnl = curr_pnl.plus(pnl*(1-amount_sold)).minus(trading_fees)
                amount_sold = 0
                if (pnl.isGreaterThan(0)) {
                    trading_win_count = trading_win_count + 1
                    trading_report = trading_report + "\n" 
                        + trading_count 
                        + " " + time + " " 
                        + moment(time).format().grey + " SELL @".yellow + colors.grey(first_bid_price) 
                        + " MinPNL " + colors.red(min_pnl.toFormat(2))
                        + " MaxPNL " + colors.cyan(max_pnl.toFormat(2))
                        + " PNL %" + colors.yellow(pnl.toFormat(2)) 
                        + "\n"
                }
                else {
                    trading_loss_count = trading_loss_count + 1
                    trading_report = trading_report + "\n" 
                        + trading_count 
                        + " " + time 
                        + " " + moment(time).format().red + " SELL @".red + colors.red(first_bid_price) 
                        + " MinPNL " + colors.red(min_pnl.toFormat(2))
                        + " MaxPNL " + colors.cyan(max_pnl.toFormat(2))
                        + " PNL %" + colors.red(pnl.toFormat(2)) 
                        + "\n"
                }
                stop_loss = stop_loss_pnl
                stop_profit = stop_profit_pnl
                pnl = BigNumber(0)
            }

            if (pnl.isGreaterThan(stop_profit)) {
                trading_report = trading_report + "\n" 
                    + trading_count 
                    + " " + time 
                    + " " + moment(time).format().green + " SELL!!! @".green + colors.green(first_bid_price) 
                    + " MinPNL " + colors.red(min_pnl.toFormat(2))
                    + " MaxPNL " + colors.cyan(max_pnl.toFormat(2))
                    + " PNL %" + colors.green(pnl.toFormat(2)) 
                    + "\n"
                trading = false
                trading_win_count = trading_win_count + 1
                curr_pnl = curr_pnl.plus(pnl*(1-amount_sold)).minus(trading_fees)
                amount_sold = 0
                stop_loss = stop_loss_pnl
                stop_profit = stop_profit_pnl
                pnl = BigNumber(0)
            }
        }
    }

    if (showReport) console.log(trading_report)
    const days = (Number(lines[lines.length-1].eventtime) - Number(lines[0].eventtime)) /86400000
    console.log("-----------")
    console.log(moment().format().grey)
    console.log("-----------")
    console.log(colors.grey(days, "days"))
    console.log(moment(Number(lines[0].eventtime)).format(), 
        moment(Number(lines[0].eventtime)).fromNow(),
        lines[0].candle_close)
    console.log(moment(Number(lines[lines.length-1].eventtime)).format(), 
        moment(Number(lines[lines.length-1].eventtime)).fromNow(),
        lines[lines.length-1].candle_close)
    console.log("-----------")
    console.log("test_pair: " + test_pair)
    console.log("trading_fees: " + trading_fees)
    console.log("stop_loss_pnl: %".red + colors.red(stop_loss_pnl))
    console.log("stop_profit_pnl: %".green + colors.green(stop_profit_pnl))
    console.log("first_price: " + first_price)
    console.log("last_price: " + last_price)
    console.log("trading_count: ".cyan + String(trading_count).magenta)
    console.log("trading_win_count: ".cyan + String(trading_win_count).blue)
    console.log("trading_loss_count: ".red + String(trading_win_count).red)
    console.log("HODL PnL: %".grey + last_price.minus(first_price).dividedBy(first_price).times(100).minus(0.1).toFormat(3).grey)
    console.log("Strat PnL: %".yellow + curr_pnl.toFormat(3).yellow)
    console.log("Daily PnL: ".cyan + colors.cyan(curr_pnl.dividedBy(days).decimalPlaces(3).toString().cyan) + "% /day".cyan)
    console.log("-----------")
    return true
}
////////////////////////////////////////////////////////////////////////////////////

async function run() {
    console.log("Retrieving DB data...".green)
    const lines = await getData(test_pair)
    console.log("Running backtest... ".green + lines.length)
    let startbt = Date.now()
    console.log("starting backtest... ".green )
    await backtest(lines)
    console.log("Ending backtest... ".green + parseInt((Date.now() - startbt)/1000) )
        
    process.exit(0)
}

run()
////////////////////////////////////////////////////////////////////////////////////